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Reaction to the Chancellor's statement

  • Gilts have been trending higher and futures spiked to an intraday high of 98.06 at the details of the Chancellor's plans started to filter through. At the time of writing we are at 97.30, around 20 ticks above the prevailing level prior to the statement (but still 360 ticks higher on the day).
  • Gilt yields remain lower by about 34-38bp across the curve with very marginal flattening.
  • SONIA futures price in a peak in the Bank Rate around 5.25% (down from a peak of 6.50% a couple of weeks ago). Most of the strip is up around 25 ticks today.
  • Markets still fully price in 100bp hike for November but pricing for December has fallen back to a cumulative 179 bp (from around 200bp at Friday's close and a peak above 220bp).
  • The pound has held on to its overnight gains, but is back to prevailing levels before the Chancellor spoke.

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